Volume Related Asymmetry Predictability of Portfolio Returns

摘要：

This paper empirically investigate volume related asymmetry predictability(lead lag relationship) by selecting samples from Shang Hai stock market in China. Results indicate that there exists volume related lead lag relationship when controlling for autocorrelation in daily returns and dependent to size effect (size related lead lag relationship). Further research show this lead lag relationship is due to different adjustment of different volume portfolio to marketwide information. And volume related lead lag relationship in daily returns in china stock market can to some extent put forward instructive suggestions for Chinese investors.

关键词： lead lag relationship autocorrelation cross correlation

作者: ZHU Tianxing CHI Guotai LI Xingfa WANG He

作者单位: School of business management Da lian university of technology, Dalian, China, 116024 Economics sch School of business management Da lian university of technology, Dalian, China, 116024 School of business management Da lian university of technology, Dalian, China, 116024 Postdoctoral Economics school, Shen yang university of technology, Shenyang China, 110871

会议类型: 国际会议

会议名称: The 3rd (2011) International Conference on Financial Risk and Corporate Finance Management(第三届(2011)金融风险与公司金融国际研讨会FRCFM 2011)

会议地点: 大连

会议语种:英文

页码: 100-105

在线出版日期: 2011-06-30（万方平台首次上网日期，不代表论文的发表时间）